QuantileModels: Estimation of Different Quantile Related Models
Estimation of different quantile models, at the moment only Conditional autoregressive value at risk (CAViaR) proposed by Engle & Manganelli (2004) <doi:10.1198/073500104000000370> with also the specification proposed in Huang et al. (2009) <doi:10.1016/j.eneco.2008.12.006> and it's multivariate extension, Multi-variate multi-quantile CAViaR (MVMQ-CAViaR) proposed by White et al. (2015) <doi:10.1016/j.jeconom.2015.02.004> are available, however, in further updates, other models and extensions will be included.
| Version: |
1.0.0 |
| Depends: |
R (≥ 3.5) |
| Imports: |
Rcpp, nloptr, quantreg, numDeriv, xts, zoo, ufRisk, GenSA |
| LinkingTo: |
Rcpp, RcppArmadillo |
| Suggests: |
knitr, rmarkdown |
| Published: |
2026-06-25 |
| DOI: |
10.32614/CRAN.package.QuantileModels (may not be active yet) |
| Author: |
Christian Jorge Carreiro [aut, cre, cph] |
| Maintainer: |
Christian Jorge Carreiro <christianjorge59 at gmail.com> |
| License: |
GPL (≥ 3) |
| NeedsCompilation: |
yes |
| Language: |
en-US |
| Materials: |
README, NEWS |
| CRAN checks: |
QuantileModels results |
Documentation:
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